Fast FSR variable selection with applications to clinical trials.
A new version of the false selection rate variable selection method of Wu, Boos, and Stefanski (2007, Journal of the American Statistical Association 102, 235-243) is developed that requires no simulation. This version allows the tuning parameter in forward selection to be estimated simply by hand calculation from a summary table of output even for situations where the number of explanatory variables is larger than the sample size. Because of the computational simplicity, the method can be used in permutation tests and inside bagging loops for improved prediction. Illustration is provided in clinical trials for linear regression, logistic regression, and Cox proportional hazards regression.
Boos
Dennis D
DD
Department of Statistics, North Carolina State University, Raleigh, North Carolina 27695-8203, USA. boos@stat.ncsu.edu
Stefanski
Leonard A
LA
Wu
Yujun
Y
D001699:Biometry / Q000379:methods*; D002986:Clinical Trials as Topic; D003198:Computer Simulation; D003627:Data Interpretation, Statistical; D015987:Effect Modifier, Epidemiologic; D015233:Models, Statistical; D016016:Proportional Hazards Models; D012044:Regression Analysis